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Opp score study

Find which Opp score range actually worked.

Replay completed projection rows and search continuous Opp score ranges against actual forward outcomes. Primary result is a walk-forward OOS stable Opp plateau; balanced and 0.5 ranges remain secondary diagnostics.

Rows with outcomes 22866
Trade dates 82
Excluded downtrends 18217
Best stable plateau n/a
Best balanced range 5.7–6.0
Best 0.5 range -3.4–-2.9
Best 0.1 bin 4.8–4.9
Best bucket 4 - 4.5
Best threshold opp > 3
Best Top-N Top 50
Window 2026-06-23 → 2026-10-21

Study results

2026-10-21 · 120D window

22866 rows with outcomes 1508 awaiting horizon Outcome horizon follows each projection row

Uses the same long-term downtrend exclusion as projection picks (200D MA down, deep drawdown below long MA, or 120D decline below long MA).

Primary finding

Best stable Opp plateau not ready

Walk-forward OOS must find a consensus Opp ≥ 0 plateau with positive lifts and bootstrap confidence. Until then projections will not auto-filter Opp.

Fold consensus below threshold; no stable plateau.

Best balanced range: 5.7–6.0 · Best 0.5 range: -3.4–-2.9 (in-sample diagnostics only)

Baseline avg return -0.05%
Baseline win rate 49.2%
Baseline runup +2.64%
Baseline drawdown -2.61%

Median return curve (reliable Opp span, step 0.1)

-3.5–-3.4 · n=23 · median -0.22% -3.4–-3.3 · n=29 · median +0.86% -3.3–-3.2 · n=23 · median +0.43% -3.2–-3.1 · n=34 · median -0.17% -3.1–-3.0 · n=38 · median -0.22% -3.0–-2.9 · n=38 · median +0.77% -2.9–-2.8 · n=46 · median -0.02% -2.8–-2.7 · n=58 · median +0.17% -2.7–-2.6 · n=54 · median +0.02% -2.6–-2.5 · n=56 · median +0.24% -2.5–-2.4 · n=63 · median -0.08% -2.4–-2.3 · n=55 · median +0.07% -2.3–-2.2 · n=71 · median +0.59% -2.2–-2.1 · n=88 · median +0.01% -2.1–-2.0 · n=83 · median +0.17% -2.0–-1.9 · n=106 · median -0.75% -1.9–-1.8 · n=107 · median +0.43% -1.8–-1.7 · n=97 · median +0.3% -1.7–-1.6 · n=116 · median -0.02% -1.6–-1.5 · n=123 · median +0.2% -1.5–-1.4 · n=151 · median +0.33% -1.4–-1.3 · n=148 · median +0.13% -1.3–-1.2 · n=170 · median -0.1% -1.2–-1.1 · n=174 · median +0.19% -1.1–-1.0 · n=198 · median +0.09% -1.0–-0.9 · n=188 · median +0.61% -0.9–-0.8 · n=212 · median +0.38% -0.8–-0.7 · n=239 · median -0.16% -0.7–-0.6 · n=242 · median -0.33% -0.6–-0.5 · n=242 · median -0.41% -0.5–-0.4 · n=290 · median -0.22% -0.4–-0.3 · n=360 · median -0.39% -0.3–-0.2 · n=325 · median 0% -0.2–-0.1 · n=358 · median -0.13% -0.1–0.0 · n=409 · median -0.03% 0.0–0.1 · n=422 · median +0.11% 0.1–0.2 · n=456 · median -0.39% 0.2–0.3 · n=485 · median +0.01% 0.3–0.4 · n=580 · median +0.23% 0.4–0.5 · n=543 · median -0.11% 0.5–0.6 · n=572 · median -0.08% 0.6–0.7 · n=646 · median -0.26% 0.7–0.8 · n=610 · median -0.04% 0.8–0.9 · n=641 · median -0.02% 0.9–1.0 · n=641 · median -0.1% 1.0–1.1 · n=642 · median -0.14% 1.1–1.2 · n=652 · median +0.17% 1.2–1.3 · n=596 · median -0.28% 1.3–1.4 · n=603 · median -0.12% 1.4–1.5 · n=580 · median -0.1% 1.5–1.6 · n=548 · median +0.04% 1.6–1.7 · n=557 · median +0.04% 1.7–1.8 · n=511 · median +0.16% 1.8–1.9 · n=518 · median -0.33% 1.9–2.0 · n=448 · median -0.06% 2.0–2.1 · n=458 · median -0.18% 2.1–2.2 · n=425 · median +0.19% 2.2–2.3 · n=418 · median -0.27% 2.3–2.4 · n=404 · median -0.12% 2.4–2.5 · n=354 · median -0.31% 2.5–2.6 · n=378 · median +0.14% 2.6–2.7 · n=332 · median -0.31% 2.7–2.8 · n=354 · median -0.04% 2.8–2.9 · n=318 · median +0.26% 2.9–3.0 · n=292 · median -0.06% 3.0–3.1 · n=284 · median -0.09% 3.1–3.2 · n=212 · median -0.03% 3.2–3.3 · n=221 · median +0.18% 3.3–3.4 · n=182 · median +0.05% 3.4–3.5 · n=180 · median -0.04% 3.5–3.6 · n=157 · median -0.35% 3.6–3.7 · n=121 · median +0.25% 3.7–3.8 · n=145 · median -0.3% 3.8–3.9 · n=124 · median -0.05% 3.9–4.0 · n=123 · median +0.1% 4.0–4.1 · n=102 · median +0.24% 4.1–4.2 · n=79 · median +0.28% 4.2–4.3 · n=89 · median +0.41% 4.3–4.4 · n=76 · median +0.01% 4.4–4.5 · n=59 · median -0.11% 4.5–4.6 · n=56 · median -0.25% 4.6–4.7 · n=62 · median -0.21% 4.7–4.8 · n=40 · median -0.58% 4.8–4.9 · n=44 · median +0.87% 4.9–5.0 · n=42 · median -0.24% 5.0–5.1 · n=36 · median -0.44% 5.1–5.2 · n=34 · median -0.27% 5.2–5.3 · n=22 · median -0.13% 5.3–5.4 · n=34 · median +0.37% 5.4–5.5 · n=24 · median -0.45% 5.5–5.6 · n=23 · median -1.1% -3.5-3-2-10123456 -1.1%-0.5%0%+0.6%+1.1%

Curve uses Opp bins of width 0.1. Leading/trailing bins below min sample are trimmed. Main line connects n ≥ min sample only. Shaded band is the walk-forward OOS stable Opp plateau when qualified. · edges trimmed (n < min sample) · balanced width 0.3–2 · range -3.5–6 · step 0.1 · min sample 20 · Best 0.1 bin: 4.8–4.9 (+0.87%, n=44) · Best balanced range: 5.7–6.0 (+0.44%, n=29) · Best 0.5 range: -3.4–-2.9 (+0.28%, n=162)

Secondary analyses (buckets, hold, TP/SL)

Opp score buckets

Filter n Avg return Median return 歷史相似情境上漲比例 Avg runup Avg drawdown
< 0 5193 +0.07% 0.00% 49.8% +2.84% -2.76%
0 - 1 5596 -0.11% -0.08% 49% +2.72% -2.67%
1 - 2 5655 -0.03% -0.06% 48.9% +2.68% -2.61%
2 - 2.5 2059 -0.25% -0.16% 47.7% +2.43% -2.62%
2.5 - 3 1674 -0.04% -0.02% 49.5% +2.44% -2.38%
3 - 3.5 1079 +0.04% +0.02% 50.2% +2.42% -2.34%
3.5 - 4 670 -0.20% -0.12% 47.9% +2.20% -2.39%
4 - 4.5 405 -0.06% +0.20% 53.6% +1.97% -2.24%
4.5 - 5 244 -0.39% -0.12% 49.2% +2.20% -2.42%
5+ 291 +0.06% -0.23% 47.1% +2.43% -2.26%

Holding period study

Buy-and-hold at fixed holding days. Best hold = highest annualized net return (median × 252/H − 5% pa), assuming capital is continuously redeployed. Independent of the projection-horizon baseline and TP/SL filter.

Filter Best hold 3D 5D 7D 10D 20D
n Median return Ann. net 歷史相似情境上漲比例 Avg drawdown n Median return Ann. net 歷史相似情境上漲比例 Avg drawdown n Median return Ann. net 歷史相似情境上漲比例 Avg drawdown n Median return Ann. net 歷史相似情境上漲比例 Avg drawdown n Median return Ann. net 歷史相似情境上漲比例 Avg drawdown
all 3D 22866 -0.05% -9.20% 49.2% -2.61% 22420 -0.12% -11.05% 48.5% -3.49% 21981 -0.27% -14.72% 47.3% -4.18% 21303 -0.58% -19.62% 45.5% -5.02% 19024 -1.32% -21.63% 43.1% -7.12%
< 0 3D 5193 0.00% -5.00% 49.8% -2.76% 5011 -0.04% -7.02% 49.5% -3.74% 4826 -0.19% -11.84% 48.3% -4.51% 4523 -0.50% -17.60% 47% -5.48% 3379 -1.37% -22.26% 42.9% -8.22%
0 - 1 3D 5596 -0.08% -11.72% 49% -2.67% 5521 -0.18% -14.07% 47.9% -3.60% 5444 -0.36% -17.96% 46.9% -4.35% 5317 -0.63% -20.88% 45.2% -5.22% 4914 -0.86% -15.84% 45.6% -7.39%
1 - 2 3D 5655 -0.06% -10.04% 48.9% -2.61% 5573 -0.11% -10.54% 48.8% -3.46% 5504 -0.22% -12.92% 47.9% -4.08% 5405 -0.38% -14.58% 46.8% -4.89% 5069 -0.81% -15.21% 45.9% -6.92%
2 - 2.5 5D 2059 -0.16% -18.44% 47.7% -2.62% 2024 -0.14% -12.06% 48.2% -3.44% 1993 -0.28% -15.08% 47% -4.14% 1941 -0.63% -20.88% 44.7% -4.87% 1807 -1.52% -24.15% 42% -6.67%
2.5 - 3 3D 1674 -0.02% -6.68% 49.5% -2.38% 1654 -0.11% -10.54% 48.4% -3.16% 1641 -0.50% -23.00% 44% -3.91% 1603 -0.94% -28.69% 41.9% -4.84% 1493 -1.72% -26.67% 39.9% -6.52%
3 - 3.5 3D 1079 +0.02% -3.32% 50.2% -2.34% 1062 -0.05% -7.52% 49.3% -3.01% 1038 -0.17% -11.12% 47.7% -3.64% 1020 -0.75% -23.90% 42.5% -4.41% 970 -2.28% -33.73% 36% -6.33%
3.5 - 4 5D 670 -0.12% -15.08% 47.9% -2.39% 657 -0.13% -11.55% 48.2% -3.15% 645 -0.29% -15.44% 46.7% -3.68% 625 -0.81% -25.41% 42.2% -4.21% 588 -2.26% -33.48% 36.4% -5.98%
4 - 4.5 3D 405 +0.20% +11.80% 53.6% -2.24% 398 -0.16% -13.06% 47.7% -3.03% 393 -0.43% -20.48% 46.1% -3.60% 381 -0.72% -23.14% 42.8% -4.29% 353 -3.26% -46.08% 26.6% -6.56%
4.5 - 5 7D 244 -0.12% -15.08% 49.2% -2.42% 242 -0.42% -26.17% 46.3% -3.21% 231 -0.16% -10.76% 48.5% -3.55% 226 -0.41% -15.33% 44.7% -3.81% 219 -2.08% -31.21% 35.2% -5.76%
5+ 10D 291 -0.23% -24.32% 47.1% -2.26% 278 -0.34% -22.14% 43.9% -3.01% 266 -0.23% -13.28% 46.6% -3.39% 262 -0.25% -11.30% 48.5% -3.99% 232 -2.26% -33.48% 35.3% -5.55%

Threshold holding periods

Same fixed holding-day grid for common Opp thresholds. Best hold ranks by annualized net return after 5% pa carry.

Filter Best hold 3D 5D 7D 10D 20D
n Median return Ann. net 歷史相似情境上漲比例 Avg drawdown n Median return Ann. net 歷史相似情境上漲比例 Avg drawdown n Median return Ann. net 歷史相似情境上漲比例 Avg drawdown n Median return Ann. net 歷史相似情境上漲比例 Avg drawdown n Median return Ann. net 歷史相似情境上漲比例 Avg drawdown
opp < 2 3D 16444 -0.04% -8.36% 49.2% -2.68% 16105 -0.11% -10.54% 48.7% -3.59% 15774 -0.25% -14.00% 47.7% -4.31% 15245 -0.49% -17.35% 46.3% -5.18% 13362 -0.97% -17.22% 45.1% -7.42%
opp > 1 3D 12064 -0.06% -10.04% 49% -2.52% 11875 -0.12% -11.05% 48.4% -3.33% 11698 -0.28% -15.08% 47% -3.97% 11450 -0.58% -19.62% 45% -4.74% 10718 -1.52% -24.15% 41.9% -6.65%
opp > 2 3D 6422 -0.06% -10.04% 49% -2.44% 6315 -0.13% -11.55% 48.2% -3.21% 6207 -0.32% -16.52% 46.3% -3.86% 6058 -0.72% -23.14% 43.4% -4.60% 5662 -1.98% -29.95% 38.3% -6.41%
opp > 3 3D 2685 -0.02% -6.68% 49.7% -2.33% 2633 -0.13% -11.55% 47.9% -3.06% 2569 -0.21% -12.56% 47.2% -3.60% 2510 -0.68% -22.14% 43.3% -4.23% 2358 -2.41% -35.37% 34.5% -6.14%
opp > 5 10D 289 -0.22% -23.48% 47.4% -2.26% 276 -0.34% -22.14% 44.2% -3.01% 264 -0.23% -13.28% 46.6% -3.40% 260 -0.25% -11.30% 48.5% -4.00% 230 -2.26% -33.48% 35.2% -5.56%

Top-N performance

Filter n Avg return Median return 歷史相似情境上漲比例 Avg runup Avg drawdown
all 22866 -0.05% -0.05% 49.2% +2.64% -2.61%
Top 3 246 -0.07% -0.17% 47.6% +2.77% -2.80%
Top 5 410 -0.16% -0.14% 47.8% +2.61% -2.79%
Top 10 820 -0.07% -0.02% 49.3% +2.62% -2.65%
Top 20 1640 -0.12% -0.02% 49.5% +2.49% -2.63%
Top 50 4100 -0.03% +0.06% 51% +2.51% -2.55%

TP/SL @ 3D

Walk-forward grid search by Opp bucket at the selected TP/SL horizon. Opp scores still come from each row's projection setting. Each test day uses only prior completed rows to pick TP/SL, then applies it to that day. Same-bar TP and SL assume stop-loss first.

Bucket n TP SL Avg return Median return 歷史相似情境上漲比例 TP hit SL hit Baseline median
< 0 5131 +2.00% 5% -0.11% +0.50% 54.5% 43.7% 18.8% -0.02%
0 - 1 5425 +2.00% 5% -0.04% +0.81% 56.5% 45.5% 20.1% -0.12%
1 - 2 5546 +2.00% 5% -0.05% +0.39% 53% 43.3% 26.1% -0.09%
2 - 2.5 2025 +2.00% 5% -0.08% +0.74% 56.7% 45.4% 13.4% -0.16%
2.5 - 3 1652 +2.00% 5% +0.06% +0.89% 58.2% 44.8% 8.7% -0.03%
3 - 3.5 1056 +2.00% 5% +0.05% +0.81% 57.8% 44.5% 8.6% +0.02%
3.5 - 4 650 +2.00% 5% -0.20% +0.36% 54% 40.8% 12.5% -0.11%
4 - 4.5 385 +2.00% 5% +0.10% +0.80% 59.2% 42.9% 8.8% +0.13%
4.5 - 5 223 +2.00% 5% -0.02% +0.47% 58.3% 42.2% 8.5% -0.11%
5+ 264 +2.00% 5% -0.16% +0.26% 53.4% 40.5% 14% -0.06%

Rolling best bucket TP/SL @ 3D

Walk-forward Opp bucket filter at 3D. Each test day uses only prior completed rows to pick the best Opp bucket by median baseline return, then runs a fine TP/SL grid on that day's matching rows. Same-bar TP and SL assume stop-loss first.
+4.00% -3.00% 1165 76 4 - 4.5 +0.26% +0.25% 53.2% 19.4% 24.9% 55.7% 1.11 +0.26% -3.00% +0.27%
+4.00% -4.00% 1165 76 4 - 4.5 +0.26% +0.35% 55.1% 19.9% 15.5% 64.6% 1.02 +0.26% -4.00% +0.27%
+4.00% -5.00% 1165 76 4 - 4.5 +0.26% +0.40% 55.9% 20% 9.9% 70.1% 0.99 +0.26% -5.00% +0.27%
+7.00% -3.00% 1165 76 4 - 4.5 +0.26% +0.10% 51.5% 5.8% 25.6% 68.6% 1.19 +0.26% -3.00% +0.27%
+8.50% -3.00% 1165 76 4 - 4.5 +0.26% +0.09% 51.2% 3.8% 25.8% 70.4% 1.2 +0.26% -3.00% +0.27%
+9.00% -3.00% 1165 76 4 - 4.5 +0.26% +0.09% 51.2% 3.3% 25.8% 70.9% 1.2 +0.26% -3.00% +0.27%
+3.00% -5.00% 1165 76 4 - 4.5 +0.25% +0.57% 58% 31.9% 9.4% 58.7% 0.91 +0.25% -5.00% +0.27%
+4.00% -4.50% 1165 76 4 - 4.5 +0.25% +0.39% 55.6% 19.9% 12.2% 67.9% 1 +0.25% -4.50% +0.27%
+6.00% -3.00% 1165 76 4 - 4.5 +0.25% +0.11% 51.8% 8% 25.5% 66.5% 1.17 +0.25% -3.00% +0.27%
+6.00% -5.00% 1165 76 4 - 4.5 +0.25% +0.26% 54.3% 8.2% 10.3% 81.5% 1.04 +0.25% -5.00% +0.27%
+6.50% -3.00% 1165 76 4 - 4.5 +0.25% +0.10% 51.5% 6.8% 25.6% 67.6% 1.18 +0.25% -3.00% +0.27%
+7.00% -3.50% 1165 76 4 - 4.5 +0.25% +0.14% 52.4% 5.8% 20% 74.2% 1.13 +0.25% -3.50% +0.27%
+7.00% -4.00% 1165 76 4 - 4.5 +0.25% +0.21% 53.3% 5.8% 16.1% 78% 1.08 +0.25% -4.00% +0.27%
+7.50% -3.00% 1165 76 4 - 4.5 +0.25% +0.10% 51.3% 4.9% 25.8% 69.4% 1.18 +0.25% -3.00% +0.27%
+8.00% -3.00% 1165 76 4 - 4.5 +0.25% +0.09% 51.2% 4.1% 25.8% 70.1% 1.18 +0.25% -3.00% +0.27%
+3.00% -4.00% 1165 76 4 - 4.5 +0.24% +0.50% 57.2% 31.6% 14.8% 53.6% 0.93 +0.24% -4.00% +0.27%
+3.00% -4.50% 1165 76 4 - 4.5 +0.24% +0.54% 57.7% 31.7% 11.6% 56.7% 0.91 +0.24% -4.50% +0.27%
+4.00% -3.50% 1165 76 4 - 4.5 +0.24% +0.30% 54.1% 19.6% 19.4% 61% 1.05 +0.24% -3.50% +0.27%
+5.00% -3.00% 1165 76 4 - 4.5 +0.24% +0.14% 52.1% 12.1% 25.3% 62.6% 1.13 +0.24% -3.00% +0.27%
+5.50% -3.00% 1165 76 4 - 4.5 +0.24% +0.13% 51.8% 9.9% 25.4% 64.7% 1.15 +0.24% -3.00% +0.27%
+5.50% -4.00% 1165 76 4 - 4.5 +0.24% +0.22% 53.7% 10.1% 15.9% 74% 1.06 +0.24% -4.00% +0.27%
+5.50% -4.50% 1165 76 4 - 4.5 +0.24% +0.26% 54.2% 10.1% 12.6% 77.3% 1.03 +0.24% -4.50% +0.27%
+5.50% -5.00% 1165 76 4 - 4.5 +0.24% +0.28% 54.5% 10.2% 10.2% 79.6% 1.03 +0.24% -5.00% +0.27%
+6.00% -3.50% 1165 76 4 - 4.5 +0.24% +0.17% 52.6% 8.1% 19.9% 72% 1.11 +0.24% -3.50% +0.27%
+6.00% -4.00% 1165 76 4 - 4.5 +0.24% +0.22% 53.6% 8.2% 16.1% 75.8% 1.07 +0.24% -4.00% +0.27%
+6.00% -4.50% 1165 76 4 - 4.5 +0.24% +0.25% 54.1% 8.2% 12.7% 79.1% 1.04 +0.24% -4.50% +0.27%
+6.50% -3.50% 1165 76 4 - 4.5 +0.24% +0.14% 52.4% 6.8% 20% 73.2% 1.11 +0.24% -3.50% +0.27%
+6.50% -4.00% 1165 76 4 - 4.5 +0.24% +0.21% 53.3% 6.9% 16.1% 77% 1.07 +0.24% -4.00% +0.27%
+6.50% -5.00% 1165 76 4 - 4.5 +0.24% +0.25% 54.1% 7% 10.3% 82.7% 1.04 +0.24% -5.00% +0.27%
+7.00% -4.50% 1165 76 4 - 4.5 +0.24% +0.22% 53.8% 5.8% 12.7% 81.5% 1.05 +0.24% -4.50% +0.27%
+7.00% -5.00% 1165 76 4 - 4.5 +0.24% +0.24% 54% 5.8% 10.4% 83.8% 1.04 +0.24% -5.00% +0.27%
+7.50% -3.50% 1165 76 4 - 4.5 +0.24% +0.14% 52.2% 4.9% 20.1% 75% 1.13 +0.24% -3.50% +0.27%
+7.50% -4.00% 1165 76 4 - 4.5 +0.24% +0.20% 53.1% 4.9% 16.2% 78.9% 1.08 +0.24% -4.00% +0.27%
+8.00% -3.50% 1165 76 4 - 4.5 +0.24% +0.13% 52.1% 4.1% 20.1% 75.8% 1.13 +0.24% -3.50% +0.27%
+8.00% -4.00% 1165 76 4 - 4.5 +0.24% +0.19% 53% 4.1% 16.2% 79.7% 1.08 +0.24% -4.00% +0.27%
+8.50% -3.50% 1165 76 4 - 4.5 +0.24% +0.13% 52% 3.8% 20.2% 76.1% 1.14 +0.24% -3.50% +0.27%
+8.50% -4.00% 1165 76 4 - 4.5 +0.24% +0.18% 53% 3.8% 16.3% 79.9% 1.09 +0.24% -4.00% +0.27%
+8.50% -4.50% 1165 76 4 - 4.5 +0.24% +0.21% 53.5% 3.8% 12.8% 83.4% 1.07 +0.24% -4.50% +0.27%
+8.50% -5.00% 1165 76 4 - 4.5 +0.24% +0.21% 53.6% 3.8% 10.5% 85.8% 1.06 +0.24% -5.00% +0.27%
+9.00% -3.50% 1165 76 4 - 4.5 +0.24% +0.13% 52% 3.3% 20.2% 76.6% 1.14 +0.24% -3.50% +0.27%
+9.00% -4.00% 1165 76 4 - 4.5 +0.24% +0.18% 53% 3.3% 16.3% 80.4% 1.09 +0.24% -4.00% +0.27%
+9.00% -4.50% 1165 76 4 - 4.5 +0.24% +0.21% 53.5% 3.3% 12.8% 83.9% 1.07 +0.24% -4.50% +0.27%
+9.00% -5.00% 1165 76 4 - 4.5 +0.24% +0.21% 53.6% 3.3% 10.5% 86.3% 1.06 +0.24% -5.00% +0.27%
+3.00% -3.00% 1165 76 4 - 4.5 +0.23% +0.41% 55.1% 30.7% 24.2% 45.1% 1.01 +0.23% -3.00% +0.27%
+3.50% -5.00% 1165 76 4 - 4.5 +0.23% +0.43% 56.5% 24.2% 9.8% 66% 0.94 +0.23% -5.00% +0.27%
+4.50% -3.00% 1165 76 4 - 4.5 +0.23% +0.17% 52.4% 15% 25.2% 59.7% 1.12 +0.23% -3.00% +0.27%
+4.50% -4.00% 1165 76 4 - 4.5 +0.23% +0.28% 54.2% 15.5% 15.7% 68.8% 1.03 +0.23% -4.00% +0.27%
+4.50% -5.00% 1165 76 4 - 4.5 +0.23% +0.33% 55% 15.5% 10.1% 74.3% 1 +0.23% -5.00% +0.27%
+5.00% -4.00% 1165 76 4 - 4.5 +0.23% +0.26% 54% 12.4% 15.8% 71.8% 1.04 +0.23% -4.00% +0.27%
+5.00% -4.50% 1165 76 4 - 4.5 +0.23% +0.28% 54.5% 12.4% 12.5% 75.1% 1.02 +0.23% -4.50% +0.27%
+5.00% -5.00% 1165 76 4 - 4.5 +0.23% +0.30% 54.8% 12.4% 10.2% 77.3% 1.01 +0.23% -5.00% +0.27%
+5.50% -3.50% 1165 76 4 - 4.5 +0.23% +0.17% 52.7% 10% 19.8% 70.2% 1.1 +0.23% -3.50% +0.27%
+6.50% -4.50% 1165 76 4 - 4.5 +0.23% +0.22% 53.8% 6.9% 12.7% 80.4% 1.05 +0.23% -4.50% +0.27%
+7.50% -4.50% 1165 76 4 - 4.5 +0.23% +0.21% 53.6% 4.9% 12.8% 82.3% 1.05 +0.23% -4.50% +0.27%
+7.50% -5.00% 1165 76 4 - 4.5 +0.23% +0.22% 53.8% 4.9% 10.5% 84.6% 1.04 +0.23% -5.00% +0.27%
+8.00% -4.50% 1165 76 4 - 4.5 +0.23% +0.21% 53.6% 4.1% 12.8% 83.1% 1.06 +0.23% -4.50% +0.27%
+8.00% -5.00% 1165 76 4 - 4.5 +0.23% +0.22% 53.7% 4.1% 10.5% 85.4% 1.05 +0.23% -5.00% +0.27%
+3.00% -3.50% 1165 76 4 - 4.5 +0.22% +0.45% 56.1% 31.1% 18.8% 50.1% 0.96 +0.22% -3.50% +0.27%
+3.50% -3.00% 1165 76 4 - 4.5 +0.22% +0.29% 53.7% 23.3% 24.7% 52% 1.05 +0.22% -3.00% +0.27%
+3.50% -4.00% 1165 76 4 - 4.5 +0.22% +0.40% 55.7% 23.9% 15.2% 60.9% 0.97 +0.22% -4.00% +0.27%
+3.50% -4.50% 1165 76 4 - 4.5 +0.22% +0.41% 56.2% 24% 12% 63.9% 0.95 +0.22% -4.50% +0.27%
+4.50% -3.50% 1165 76 4 - 4.5 +0.22% +0.21% 53.2% 15.2% 19.7% 65.2% 1.06 +0.22% -3.50% +0.27%
+4.50% -4.50% 1165 76 4 - 4.5 +0.22% +0.30% 54.8% 15.5% 12.4% 72.1% 1 +0.22% -4.50% +0.27%
+5.00% -3.50% 1165 76 4 - 4.5 +0.22% +0.20% 53% 12.2% 19.7% 68.1% 1.08 +0.22% -3.50% +0.27%
+3.50% -3.50% 1165 76 4 - 4.5 +0.21% +0.34% 54.7% 23.6% 19.1% 57.3% 1 +0.21% -3.50% +0.27%

Threshold performance

Filter n Avg return Median return 歷史相似情境上漲比例 Avg runup Avg drawdown
all 22866 -0.05% -0.05% 49.2% +2.64% -2.61%
opp > 1 12064 -0.08% -0.06% 49% +2.51% -2.52%
opp > 2 6422 -0.12% -0.06% 49% +2.37% -2.44%
opp > 3 2685 -0.07% -0.02% 49.7% +2.28% -2.33%
opp > 5 289 +0.08% -0.22% 47.4% +2.44% -2.26%
opp > 7 13 +0.19% +0.69% 53.8% +3.78% -3.72%
opp > 10 2 +1.13% +1.13% 50% +2.12% -4.33%

Owned-position Opp exit-risk study

Walk-forward search over min hold days, Opp peak drop, Opp floor, and confirm days. Alerts publish only when a rule passes out-of-sample gates; otherwise selectedRule stays null.

Selected rule 持有 ≥3 日 · Opp 自峰值跌 ≥0.5 · 現值 ≤2.5 · 連續 2 日
Train dates 52
Test dates 23
Candidates 240

已選門檻：最少持有 3 交易日 · 峰值跌 ≥ 0.5 · Opp ≤ 2.5 · 連續 2 日確認。版本 opp-exit-risk-v1。

規則 訓練 n 驗證 n 驗證剩餘報酬中位 驗證負報酬命中 結果
持有 ≥10 日 · Opp 自峰值跌 ≥0.5 · 現值 ≤1 · 連續 1 日 1797 551 0.01% 49.7% out-of-sample remaining return not weak enough
持有 ≥10 日 · Opp 自峰值跌 ≥1 · 現值 ≤1 · 連續 1 日 1797 551 0.01% 49.7% out-of-sample remaining return not weak enough
持有 ≥10 日 · Opp 自峰值跌 ≥1.5 · 現值 ≤1 · 連續 1 日 1797 551 0.01% 49.7% out-of-sample remaining return not weak enough
持有 ≥10 日 · Opp 自峰值跌 ≥2 · 現值 ≤1 · 連續 1 日 1797 551 0.01% 49.7% out-of-sample remaining return not weak enough
持有 ≥3 日 · Opp 自峰值跌 ≥0.5 · 現值 ≤2 · 連續 2 日 1839 579 0.08% 48% out-of-sample remaining return not weak enough
持有 ≥3 日 · Opp 自峰值跌 ≥1 · 現值 ≤2 · 連續 2 日 1839 579 0.08% 48% out-of-sample remaining return not weak enough
持有 ≥5 日 · Opp 自峰值跌 ≥1.5 · 現值 ≤2 · 連續 2 日 1828 573 0.08% 48.2% out-of-sample remaining return not weak enough
持有 ≥5 日 · Opp 自峰值跌 ≥0.5 · 現值 ≤2 · 連續 2 日 1832 574 0.1% 47.9% out-of-sample remaining return not weak enough
持有 ≥5 日 · Opp 自峰值跌 ≥1 · 現值 ≤2 · 連續 2 日 1832 574 0.1% 47.9% out-of-sample remaining return not weak enough
持有 ≥3 日 · Opp 自峰值跌 ≥1.5 · 現值 ≤2 · 連續 2 日 1834 576 0.08% 48.1% out-of-sample remaining return not weak enough
持有 ≥5 日 · Opp 自峰值跌 ≥2 · 現值 ≤2 · 連續 2 日 1818 570 0.02% 49.8% out-of-sample remaining return not weak enough
持有 ≥10 日 · Opp 自峰值跌 ≥0.5 · 現值 ≤2 · 連續 2 日 1789 529 0% 49.5% out-of-sample remaining return not weak enough

賣出提醒研究建議

涵蓋 Opp 低位、止賺止蝕、3／5／7 交易日里程碑與短期急升。僅通過 OOS gate 的片段會標為研究建議；其餘為可覆寫預設值。系統只提醒「請檢視持倉」，不會自動賣出。

賣出提醒版本 sell-alert-rec-v1
發布狀態 部分／全部通過
Opp floor 2.5
止賺／止蝕 6% / 3%
里程碑日 3/5/7
短期急升 2日 +7%

研究建議（通過：oppFloor, milestones）。可逐項覆寫；僅作風險提示，非買賣建議。

Example winners and losers

Completed projection rows in the selected window, sorted by actual forward return.

Date Symbol Sector Opp Median Actual Runup Drawdown
2026-08-14 US.MRNA Health Care 1.456 +0.19% +175.39% +179.00% -1.88%
2026-08-18 US.MRNA Health Care 0.477 -0.01% +130.51% +180.59% +81.80%
2026-08-17 US.MRNA Health Care 1.467 +0.21% +106.83% +174.06% -3.62%
2026-08-12 US.SNDK Information Technology -1.213 -0.63% +32.92% +35.98% -0.95%
2026-07-29 US.LITE Information Technology -0.546 -0.29% +29.47% +30.38% +7.91%
2026-09-29 US.CTVA Materials -0.634 -0.55% -84.69% +1.19% -84.80%
2026-09-30 US.CTVA Materials -1.79 -1.00% -84.04% -81.40% -84.88%
2026-09-28 US.CTVA Materials -3.171 -1.61% -83.83% +1.36% -84.77%
2026-06-23 US.CRWD Information Technology 2.023 +0.75% -74.26% +1.74% -75.27%
2026-06-24 US.CRWD Information Technology 2.341 +0.94% -72.40% +2.93% -74.98%

Opp score study is observational and uses archived projection rows only. It helps evaluate ranking filters, not predict or recommend trades.